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Forecasting the variance of stock index returns using jumps and cojumps
Adam Clements,
Yin Liao
Research output
:
Contribution to journal
›
Article
›
peer-review
22
Citations (Scopus)
Overview
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Dive into the research topics of 'Forecasting the variance of stock index returns using jumps and cojumps'. Together they form a unique fingerprint.
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Business & Economics
Jump
100%
Stock Index
86%
Jump Detection
29%
Point Process
24%
Process Model
23%
Intraday Data
22%
Forecast Performance
22%
Forecast Accuracy
19%
Asset Returns
17%
Modeling
10%